Volatility co-movements and spillover effects within the Eurozone economies : a multivariate GARCH approach using the financial stress index
Ronald MacDonald, Vasilios Sogiakas, Andreas Tsopanakis
| Year of publication: |
2018
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|---|---|
| Authors: | MacDonald, Ronald ; Sogiakas, Vasilios ; Tsopanakis, Andreas |
| Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 52.2018, p. 17-36
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| Subject: | Financial crisis | Volatility spillover effects | Systemic risk | GARGH-BEKK model | Volatilität | Volatility | Finanzkrise | Spillover-Effekt | Spillover effect | ARCH-Modell | ARCH model | Eurozone | Euro area | Systemrisiko | EU-Staaten | EU countries | Geldpolitik | Monetary policy | Ansteckungseffekt | Contagion effect |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.intfin.2017.09.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011986183